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math.PR2023
Quantitative and stable limits of high-frequency statistics of Lévy processes: a Stein's method approach
Chiara Amorino, Arturo Jaramillo, Mark Podolskij
We establish inequalities for assessing the distance between the distribution of errors of partially observed high-frequency statistics of multidimensional Lévy processes and that…
math.PR2022
Optimal estimation of local time and occupation time measure for an α-stable Levy process
Chiara Amorino, Arturo Jaramillo, Mark Podolskij
We present a novel theoretical result on estimation of local time and occupation time measure of an α-stable Lévy process with α in (1, 2). Our approach is based upon computing the…